Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0001 |
| Annualized Std Dev | 0.1543 |
| Annualized Sharpe (Rf=0%) | 0.0005 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4683.0000 |
| NAs | 1.0000 |
| Minimum | -0.1678 |
| Quartile 1 | -0.0040 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0042 |
| Maximum | 0.0831 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0097 |
| Skewness | -1.8536 |
| Kurtosis | 33.9854 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0073 |
| Gain Deviation | 0.0067 |
| Loss Deviation | 0.0085 |
| Downside Deviation (MAR=210%) | 0.0122 |
| Downside Deviation (Rf=0%) | 0.0073 |
| Downside Deviation (0%) | 0.0073 |
| Maximum Drawdown | 0.5032 |
| Historical VaR (95%) | -0.0128 |
| Historical ES (95%) | -0.0230 |
| Modified VaR (95%) | -0.0138 |
| Modified ES (95%) | -0.0138 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-11 | 2008-12-16 | 2011-12-21 | -0.5032 | 1186 | 426 | 760 |
| 2016-08-01 | 2020-03-18 | NA | -0.4060 | 1168 | 914 | NA |
| 2012-07-11 | 2013-09-13 | 2016-07-01 | -0.2974 | 1001 | 296 | 705 |
| 2002-08-23 | 2004-05-13 | 2007-04-02 | -0.2168 | 1151 | 430 | 721 |
| 2012-03-05 | 2012-03-27 | 2012-06-25 | -0.0962 | 79 | 17 | 62 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | 0.3 | 0.7 | 1.4 | 1.9 | -0.4 | -0.1 | 3.8 |
| 2003 | -0.5 | 0.2 | -0.1 | 0.3 | -0.5 | 0.6 | -0.4 | 0.5 | 1.3 | 0.3 | -0.7 | 0.4 | 1.5 |
| 2004 | 0.3 | -0.1 | 1.1 | -1.2 | 0.8 | -0.2 | 0.4 | 0 | 1.7 | 2.1 | 0.2 | -0.8 | 4.3 |
| 2005 | 0.6 | -0.8 | 1.2 | 0.2 | 0.6 | 0 | 0 | 0.6 | -0.4 | 0.8 | 0.2 | -0.5 | 2.5 |
| 2006 | 0 | -0.8 | 0.4 | -0.5 | 1.2 | 0.6 | 0.2 | 0.1 | -0.2 | 1.2 | 1.2 | -0.3 | 3.2 |
| 2007 | 0.5 | -0.1 | 0.1 | 0.8 | -0.4 | 0.3 | 1.3 | 0 | 0.3 | -0.3 | 0.6 | 1.7 | 4.8 |
| 2008 | 0.7 | -4.1 | 1 | -0.2 | -1.3 | -0.6 | -0.5 | 1.5 | 1.7 | 2.5 | 1.1 | -1.2 | 0.5 |
| 2009 | 0.6 | 0.1 | 2 | 1.1 | -0.2 | 1.4 | 1.7 | 0.5 | -0.3 | 0.4 | 0.5 | -0.3 | 7.9 |
| 2010 | 0.8 | 0.3 | -0.3 | 0.2 | 0.7 | -0.7 | 0.2 | -0.7 | -0.6 | 0.5 | -0.3 | 0.6 | 0.7 |
| 2011 | 0.2 | 0.6 | 1.5 | 0.1 | 0.5 | 0.8 | 0.6 | 0.9 | 0.3 | 0 | 1.3 | 0.7 | 7.8 |
| 2012 | 0.7 | -0.3 | 0.2 | -0.1 | 0 | 0.1 | -0.4 | 0.8 | -0.1 | 0.7 | -1 | -0.1 | 0.7 |
| 2013 | 0.7 | 0.9 | 0.7 | 0.3 | -0.8 | -0.5 | 0.9 | 0 | 0.5 | -0.9 | 1.2 | -0.5 | 2.5 |
| 2014 | 0 | -0.2 | -0.1 | 0 | -0.5 | -0.1 | -0.6 | 0.4 | 0.4 | -0.3 | -0.4 | 0.1 | -1.2 |
| 2015 | 0.2 | 1.2 | -0.3 | -0.9 | 1.4 | 1.7 | 0.5 | 0.1 | 0.3 | 0.4 | 0.1 | 0.3 | 5 |
| 2016 | -0.1 | -0.7 | 0.2 | 0.2 | 0.7 | 1.1 | -0.6 | -0.5 | 0.2 | 0.1 | -1.4 | -0.2 | -1 |
| 2017 | 0 | -0.1 | 0.4 | 0.1 | -0.2 | 0.8 | 0.3 | 0.2 | 0.1 | -0.6 | -0.1 | 0.7 | 1.8 |
| 2018 | -0.3 | -0.6 | 0.2 | 0.3 | -0.2 | -0.1 | -0.4 | 0.2 | 0.1 | 0.7 | 0.7 | 0.2 | 1 |
| 2019 | 0.6 | 0 | -0.7 | 0.1 | 0.4 | 1.6 | 0.7 | -0.7 | -0.1 | 0.4 | 1.5 | 0.1 | 3.9 |
| 2020 | 0.1 | -1.6 | -3.9 | 0.5 | 0.4 | 0 | 0.1 | -1.3 | 0.6 | -0.2 | 0.4 | 0.1 | -5 |
| 2021 | 0.1 | 1.7 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
